fiona, I believe they will freeze. If you can, you may be able to insulate them with straw or hay and keep them going. Might also be able to dig a pit below frost line and make a compost pile in the bottom with the worms in it. Then cover it up for the winter.
I always kept mine inside for the winter.

I have had red wigglers surprise me and survive being frozen solid for weeks. I thought they were dead, put the bin outside, forgot about it until spring when surprise! There they were, wiggling.

So if your goal is to still have living worms in the spring, maybe you can leave them out. (It's no guarantee though, they could still die) If you want them to keep composting, they will need to be warmer.

In my own experience, compost worms such as Red Wigglers, are quite capable of surviving very cold winters, if they are given the right conditions. I live in a part of Germany where the winter temperatures can well reach -20 * C. My whole garden has become infested with compost worms since I introduced them a few years ago. I always keep my garden heavily mulched, especially at this time of year, keeping the soil relatively warm and damp, giving the worms a good chance of survival.
As for those worms living in compost bins, I have given them plenty of shredded corrugated cardboard – about half the volume of the bin – giving the worms a pleasant living space as well as insulation against the cold. The temperature in the bins rarely goes below 15* C, so the worms are relatively comfortable. Of course there are losses, but there are still plenty of worms there in spring to continue the composting process.
So if you keep your worms in a shed, I would recommend a deep layer of shredded cardboard and/or newsprint (don’t forget to keep it damp) and the greater part of your worms will have a good chance of survival.

My outdoor worm pile has survived by covering with loose fluffed straw and covered with tarp. Dry straw insulated the material and minimal heat produced kept freezing at bay. Sounds like you amount is small and can be brought inside. good luck